The process of mindfully shifting your attention among inputs may offer you mood benefits, in addition to the mood lift that exercise itself will bring you. Shifting attention in this way may well strengthen the part of your brain that acts to dampen down the ruminations that occur during depression. Shifting attention also makes you able to enjoy richer experiences. You can't lose—whether it is a useful brain exercise for fighting the ruminations of depression or simply a way to drink in joy while exerting yourself, guiding your attention mindfully has its benefits.
— Michael W. Otto Exercise for Mood and Anxiety: Proven Strategies for Overcoming Depression and Enhancing Well-Being